Are you using two bags? First one to catch the initial oil, slip it off then use a 2nd bag to finish unscrewing. You should not spill a drop of you use that method. Using 1 bag, that gets full, trying to get that off with the filter is a recipe for getting oil everywhere.
I'm all for low cost McGyvering but I've tried the bag method and although it helps it still isn't ideal. Unless there's another trick, removing the oil-filled bag lets the oil saturated filter housing drip until the second bag is put in place. Plus a plastic bag doesn't provide great grip, heat protection, or a nice round contour fit to the filter housing.
I used a gallon baggy to catch it all and the darn filter rotated while inside the bag splashing out and creating a bigger mess. And those darn bag corners start to fill up creating an even larger bag to work with. It's one of those been there, done that for me.
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